I wonder if you could pre-empt your game with a one time 'long loading' screen - "Performing First-Time Setup". Make the player wait 30 seconds and throw some world-building anticipatory art and text for them to enjoy.https://twitter.com/tloch14/status/1016678972086804487 …
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Someone who really cares can download the game, and then go read the game's website for any extra lore, media, or whatever while it downloads, but often enough people aren't thinking about that. The manual when you opened the box was like an invitation to do so.
Lots of MMOs have their own custom launcher, and that's a great place to do this sort of thing. Most do, but with a different focus (ie, release notes instead of the manual). Single player games can't, b/c you download from your distribution platform.
